Hedge Fund-of-Funds Asset Allocation Using a Convergent and Divergent Strategy Approach
- Topics:
- Investment and Capital Markets
- Tags:
- Asset,
- State Street,
- Operational Planning,
- Investment,
- Hedge Fund,
- Financial Services,
- Finance,
- Business Operations,
- Asset Management,
- Asset Allocation,
- ...
- Source:
- State Street
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Overview: Hedge fund asset allocation can be a challenging endeavor given the dearth of tools available to deal with the unique statistical characteristics of long and short strategies. From a top-down perspective, the hedge fund industry is classified into several substyle categories including long/short equity, market neutral equity, convertible bond arbitrage, merger arbitrage, event driven, global macro and managed futures. However, due to the non-correlated nature of rates of return in each style group, the problem of asset allocation appears overly simplistic. This paper takes a different view of the hedge fund universe, classifying strategies as "convergent" or "divergent" in their orientation and thereby adding new meaning to the process of asset allocation.
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Format: PDF | Size: 511KB | Date: Apr 2004 | Pages: 13
